Hi,
This is very old... I was not able to follow the link on the forum.
*The short answer* It's not a bug, it's a feature!
*The Long answer* The multivariate test in Dynare *is not* the one proposed by Brooks/Gelman. In the first releases of the estimation module of Dynare, we implemented exactly what is described by Brooks/Gelman but it was (at that time) very slow. Then we switched to another aggregation of the univariate mcmc draws using the value of the posterior kernel (which is a function from the space of the parameters to the real line) instead of the largest eigenvalue of a covariance matrix. The advantage is that it is much faster and (at least for me) intuitive (because in the end we are interested in the whole shape of the likelihood not only some moments of the parameters). The disadvantage is that we loose the nice property of the Brooks/Gelman index: our multivariate diagnostic is not an upper bound of the univariate diagnostics.
I did not check seriously, but I think that the manual says nothing about these diagnostics. The user guide gives some informations about the multivariate diagnostic that are clearly wrong... We should complete the manual in this regard.
Even if it is a feature (not a bug) we should add the Brooks and Gelman multivariate diagnostic and take this as an opportunity to add other diagnostics.
Best, Stéphane.
Michel Juillard michel.juillard@mjui.fr writes:
Hi Johannes,
I don't remember this code. Looking at Git history, it was written 10 years ago, when we were still under CVS. I don't have that history handy. I don't understand either the multivariate formula. I would have expected to see the largest eigenvalue to be used.
If Stéphane and Marco, who have also worked on the code, agree, I would mark it as a bug and work on it again. In any case, there is a default in Dynare implementation: it doesn't show the size of the ratio which is the real statistic of the test. It may also be the opportunity to add other diagnostic tests.
Best
Michel
Johannes Pfeifer writes:
Please find it attached.
-- Johannes Pfeifer Haußerstr. 29 72076 Tübingen Tel.: +49-(0)7071-6396184 Mobil.: +49-(0)170-6936820 Germany
-----Ursprüngliche Nachricht----- Von: Michel Juillard [mailto:michel.juillard@mjui.fr] Gesendet: Dienstag, 11. Juni 2013 15:12 An: Johannes Pfeifer Betreff: Re: Brooks/Gelman
Hi Johannes,
I don't know where is my copy of Brooks/Gelman, do you have an electronic version?
Thanks
Michel
Johannes Pfeifer writes:
Hi Michel,
some time ago I asked you about the Brooks/Gelman multivariate convergence diagnostic used in Dynare, but apparently, the mail got lost. Now someone in the forum has exactly the same question:
http://www.dynare.org/phpBB3/viewtopic.php?f=1 http://www.dynare.org/phpBB3/viewtopic.php?f=1&t=4731&start=0 &t=4731&start=0
What should we say?
Best,
Johannes
--
Johannes Pfeifer
Haußerstr. 29
72076 Tübingen
Tel.: +49-(0)7071-6396184
Mobil.: +49-(0)170-6936820
Germany
-- Michel Juillard